quantlab.factor.predefined.alpha101#
Alpha101 factor sets computed with the KunQuant backend.
“101 Formulaic Alphas” (Kakushadze, 2016) is a public list of 101 short
trading-signal formulas built from open, high, low, close, volume and VWAP.
KunQuant, the library this project uses for most factor computation, ships
them as its Alpha101 library. KunQuant compiles a factor formula, written
as a graph of operators, to native code and runs it over a whole
(timestamp, symbol) panel at once.
Two FactorKunQuant subclasses expose the library. They differ in which
input columns they read and in how the outputs are normalized:
Alpha101SpotKline works on crypto spot klines (candlestick bars) and
z-scores every output along time, while Alpha101Stock works on adjusted
US-equity bars and z-scores every output across symbols.
Classes
Alpha101 factors over crypto spot klines, z-scored along time. |
|
Alpha101 factors over adjusted US-equity bars, z-scored across symbols. |